Автор: http://www.sources.ru

procedure RemoveColumn(SG: TStringGrid; ColNumber: integer);
var
  Column: integer;
begin
  ColNumber := abs(ColNumber);

  if ColNumber <= SG.ColCount then
  begin
    for Column := ColNumber to SG.ColCount - 2 do
    begin
      SG.Cols[Column].Assign(SG.Cols[Column + 1]);
      SG.Colwidths[Column] := SG.Colwidths[Column + 1];
    end;
    SG.ColCount := SG.ColCount - 1;
  end;
end;